Guaranteed characterization of exact non-asymptotic confidence regions as defined by LSCR and SPS

Michel Kieffer 1 Eric Walter 2
1 Division Télécoms et réseaux - LTCI
L2S - Laboratoire des signaux et systèmes : 1289, IUF - Institut Universitaire de France : 56663, LTCI - Laboratoire Traitement et Communication de l'Information : 162010
2 Division Systèmes - L2S
L2S - Laboratoire des signaux et systèmes : 1289
Abstract : In parameter estimation, it is often desirable to supplement the estimates with an assessment of their quality. A new family of methods proposed by Campi et al. for this purpose is particularly attractive, as it makes it possible to obtain exact, non-asymptotic confidence regions under mild assumptions on the noise distribution. A bottleneck of this approach, however, is the numerical characterization of these confidence regions. So far, it has been carried out by gridding, which provides no guarantee as to its results and is only applicable to low dimensional spaces. This paper shows how interval analysis can contribute to removing this bottleneck.
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https://hal-supelec.archives-ouvertes.fr/hal-00935817
Contributeur : Michel Kieffer <>
Soumis le : vendredi 24 janvier 2014 - 10:45:33
Dernière modification le : jeudi 5 avril 2018 - 12:30:24
Document(s) archivé(s) le : jeudi 24 avril 2014 - 22:17:24

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Michel Kieffer, Eric Walter. Guaranteed characterization of exact non-asymptotic confidence regions as defined by LSCR and SPS. Automatica, Elsevier, 2014, 50 (2), pp.507-512. 〈10.1016/j.automatica.2013.11.010〉. 〈hal-00935817〉

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